Compară metode
Examinează metodele selectate una lângă alta; rândurile care diferă sunt evidențiate.
| TGARCH cu Pauze Structurale (Threshold GARCH cu Pauze Structurale)× | Model EGARCH (Exponential GARCH)× | |
|---|---|---|
| Domeniu | Econometrie | Econometrie |
| Familie | Regression model | Regression model |
| Anul apariției≠ | 1990-1993 | 1991 |
| Autorul original≠ | Lamoureux & Lastrapes (structural breaks in GARCH); Glosten, Jagannathan & Runkle (TGARCH/GJR-GARCH asymmetry) | Daniel B. Nelson |
| Tip≠ | Volatility model | Volatility / conditional variance model |
| Sursa seminală≠ | Lamoureux, C. G., & Lastrapes, W. D. (1990). Persistence in variance, structural change, and the GARCH model. Journal of Business & Economic Statistics, 8(2), 225-234. DOI ↗ | Nelson, D. B. (1991). Conditional heteroskedasticity in asset returns: A new approach. Econometrica, 59(2), 347–370. DOI ↗ |
| Denumiri alternative | SB-TGARCH, threshold GARCH with structural breaks, GJR-GARCH with structural breaks, break-adjusted TGARCH | Exponential GARCH, EGARCH, Nelson EGARCH, log-GARCH |
| Înrudite≠ | 3 | 6 |
| Rezumat≠ | Structural Break TGARCH extends the Threshold GARCH (GJR-GARCH) model to accommodate discrete, permanent shifts in the volatility process. By detecting structural breaks and incorporating them — either as regime-specific intercepts or dummy variables — the model separates genuine volatility persistence from spurious persistence induced by ignored regime changes, and preserves the asymmetric leverage effect that characterises equity and financial return data. | The Exponential GARCH (EGARCH) model, introduced by Nelson (1991), extends the standard GARCH framework by modelling the logarithm of conditional variance. This ensures variance is always positive without parameter constraints and, crucially, allows negative and positive shocks to have asymmetric effects on volatility — capturing the well-known leverage effect in financial markets. |
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